And while a lot of these investors are coping with negative
policy rates — meaning cash parked at central banks
is charged a small fee — or are dealing with an
ever-shrinking supply of bonds to buy against central banks doing
big asset purchase programs, these returns are still not
attractive.

I mean, how could they be? The world "return" implies
you get something back — i.e. more money back
after forfeiting your ability to do anything with that
money for a period of time.

In this case, buying a bond with a negative yield means you've
forfeited that right (privilege? unclear: markets are weird)
presumably for something else, something better? Strange
times.

Either way, David Rosenberg at Gluskin Sheff is not at all
excited by taking on this kind of risk (even if this debt is
considered the safest you can put your money in).

Here's Rosenberg in a note on Monday morning:

Core government bond markets have a bid, with yields down about
two basis points across Germany, France, the Netherlands, Sweden,
and the U.K. The 10-year German bund is now within 19 basis
points of joining the Japanese government bonds in negative yield
terrain — bunds have rallied now for a fourth day in a row, the
longest streak of the year.

Call it return-free risk, if you will.

All it takes now is a five basis point rise in the 10-year bund
to deliver a negative return in the German bond market; all it
takes in Japan to generate a negative JGB return for the 10-year
maturity is for the yield to do nothing at all. In the US, it
only takes a 40 basis point move up, and adjusted for core
inflation, the 10-year Treasury yield is -40 basis in real terms!